Volatility features of the Nordic day ahead power spot market for a $12$ year period up till May 2004 is studied. The daily logarithmic volatility was measured for this period to be about $16\%$. This level is well above what is observed for most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are found to be striking features of the volatility of power markets. In addition, a cyclic behavior of the time-dependent volatility can be observed for the Nordic power market. Furthermore, the volatility shows a dependence on the price level, and this is pronounced the mostly when the spot price is low. The correlation in volatility is consistent with an inverse power law decay, $\tau^{-\nu}$, superposed an oscillating term. The numerical value of the exponent $\nu$ is similar to what has been reported previously for stock markets.